vwap¶

Defined in fynance.features.ohlcv

vwap(high, low=None, close=None, volume=None, w=None)[source]

Volume-Weighted Average Price of the typical price, causal.

Typical price \(TP_t = (H_t + L_t + C_t) / 3\), weighted by volume. With w=None it is the anchored (cumulative) VWAP; with an integer w it is a rolling VWAP over the trailing window.

Parameters:

high, low, close, volumearray-like, or high = OHLCV: OHLCV series, or a single OHLCV (volume required).
wint, optional: Rolling window; None (default) = cumulative.

Returns:

numpy.ndarray: VWAP series, aligned with the input.

Examples

>>> import numpy as np
>>> h = np.array([10., 12., 11.])
>>> low = np.array([8., 10., 9.])
>>> c = np.array([9., 11., 10.])
>>> v = np.array([100., 100., 100.])
>>> vwap(h, low, c, v).round(4)
array([ 9., 10., 10.])